David Yao

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

11

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2,118

SSRN CITATIONS
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SSRN RANKINGS

Top 25,666

in Total Papers Citations

23

CROSSREF CITATIONS

13

Scholarly Papers (11)

1.

The Value of Flexibility From Opaque Selling

Number of pages: 48 Posted: 19 Nov 2019 Last Revised: 04 Aug 2022
Department of Industrial Engineering and Operations Research & Data Science Institute, Columbia University, Columbia University and Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences
Downloads 438 (93,958)
Citation 8

Abstract:

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online retailing, opaque selling, flexibility, inventory management

2.

Liability Concentration and Systemic Losses in Financial Networks

Operations Research, Forthcoming
Number of pages: 33 Posted: 05 Jun 2016
Columbia University, The University of Hong Kong and Columbia University
Downloads 380 (110,707)
Citation 9

Abstract:

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systemic risk, financial network, interbank liabilities, majorization

3.

An Optimization View of Financial Systemic Risk Modeling: The Network Effect and the Market Liquidity Effect

Number of pages: 56 Posted: 08 Jul 2014 Last Revised: 29 Sep 2014
Nan Chen, Xin Liu and David Yao
The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Columbia University
Downloads 365 (115,800)
Citation 8

Abstract:

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Systemic risk, contagion, liquidity risk, financial network

4.

A Dynamic Network Model of Interbank Lending — Systemic Risk and Liquidity Provisioning

Mathematics of Operations Research. Forthcoming
Number of pages: 35 Posted: 30 Aug 2017 Last Revised: 21 Jun 2019
Agostino Capponi, Xu Sun and David Yao
Columbia University, University of Florida and Columbia University
Downloads 251 (171,090)
Citation 6

Abstract:

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Dynamic Interbanking Networks, Systemic Risk, Large Networks Asymptotics

5.

Promotion Design with Path Dependent Network Effects

Number of pages: 39 Posted: 23 Mar 2020
Sheng Bi, Chung-Piaw Teo and David Yao
National University of Singapore (NUS), NUS Business School - Department of Decision Sciences and Columbia University
Downloads 194 (217,833)

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promotion design, path dependent network effects, Polya's urn

6.

Production with Risk Hedging — Optimal Policy and Efficient Frontier

Number of pages: 37 Posted: 06 Dec 2014
Liao Wang and David Yao
HKU and Columbia University
Downloads 174 (239,268)
Citation 3

Abstract:

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operational risk management, quadratic hedging, mean-variance efficient frontier.

7.

Production Planning with Shortfall Hedging under Partial Information and Budget Constraint

Number of pages: 49 Posted: 01 Dec 2016 Last Revised: 13 Jun 2017
Liao Wang and David Yao
HKU and Columbia University
Downloads 104 (353,957)

Abstract:

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shortfall hedging, partial information, budget constraint, efficient frontier.

8.

Diffusion Limit of Fair Resource Control -- Stationarity and Interchange of Limits

Number of pages: 60 Posted: 18 Mar 2015
Heng-Qing Ye and David Yao
Hong Kong Polytechnic University and Columbia University
Downloads 95 (375,124)

Abstract:

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stochastic processing network, proportional fair allocation, diffusion limit, stationary distribution, interchange of limits, uniform stability

9.

Justifying Diffusion Approximations for Stochastic Processing Networks Under a Moment Condition

Number of pages: 49 Posted: 29 Sep 2014 Last Revised: 30 Dec 2021
Heng-Qing Ye and David Yao
Hong Kong Polytechnic University and Columbia University
Downloads 94 (377,715)

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stochastic processing network, resource sharing network, multiclass queueing network, diffusion limit, interchange of limits, uniform stability

10.

Production Planning with Risk Hedging under a CVaR Objective

Number of pages: 40 Posted: 08 Jul 2021 Last Revised: 27 Jan 2022
Liao Wang and David Yao
HKU and Columbia University
Downloads 23 (680,088)

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production planning, CVaR, downside risk aversion, optimal hedging

11.

Bed Allocation to Reduce Overflow

Posted: 01 Oct 2014
School of Management, University of Science and Technology of China, National University of Singapore (NUS) - NUS Business School, Singapore Management University - Lee Kong Chian School of Business and Columbia University

Abstract:

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Bed allocation; overflow; queueing models; simulation; data analysis